The Contingent Claims Approach to Corporate Vulnerability Analysis : Estimating Default Risk and Economy-Wide Risk Transfer /

In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The resu...

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Autor principal: Xiao, Yingbin
Altres autors: Gapen, Michael, Gray, Dale, Lim, Cheng
Format: Revista
Idioma:English
Publicat: Washington, D.C. : International Monetary Fund, 2004.
Col·lecció:IMF Working Papers; Working Paper ; No. 2004/121
Accés en línia:Full text available on IMF
Descripció
Sumari:In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The results indicate that the method may prove helpful in identifying corporate sector vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial, and public sectors.
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Descripció física:1 online resource (43 pages)
Format:Mode of access: Internet
ISSN:1018-5941
Accés:Electronic access restricted to authorized BRAC University faculty, staff and students